How to create a .blend in specific directory and write objects on it?
Writing data into .blend files which are not existing yet works just fine. What you need to pay attention to is to make sure that the directory where the file is supposed to be stored in exists.

So in your given example, check if the folder C:\Users\Jea\Desktop\snippets\armature_snippets\ exists using the os.path module, and if not, create it:

if not os.path.exists(directory):
    os.makedirs(directory)


I'm on a Linux machine here, so I cannot check if the Python implementation of these methods on Windows is case sensitive or not. On Linux it is, so '/somePath' is considered something else than '/somepath'. Maybe you came across that?